INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Socially Responsible Equity Fund

Shares			Value ($)
	Common Stocks — 92.1%
	COMMUNICATION SERVICES — 12.2%
	3,000	Alphabet, Inc., Class A (a)		4,254,150
	11,000	Facebook, Inc., Class A (a)		2,497,770
	19,000	Verizon Communications, Inc.		1,047,470
	4,000	Walt Disney Co.		446,040
				8,245,430
	CONSUMER DISCRETIONARY — 7.4%
	8,000	Deckers Outdoor Corp. (a)		1,571,120
	5,000	Home Depot		1,252,550
	15,000	Meritage Homes Corp. (a)		1,141,800
	1,000	Tesla, Inc. (a)		1,079,810
				5,045,280
	CONSUMER STAPLES — 3.2%
	19,000	Coca-Cola		848,920
	11,000	Procter & Gamble		1,315,270
				2,164,190
	FINANCIALS — 5.5%
	40,000	Ally Financial, Inc.		793,200
	15,000	First Republic Bank		1,589,850
	4,000	S&P Global		1,317,920
				3,700,970
	HEALTHCARE — 10.2%
	4,000	AbbVie, Inc.		392,720
	66,600	Acreage Holdings, Inc. (a)		170,363
	10,000	BioMarin Pharmaceutical (a)		1,233,400
	10,000	Bio-Techne		2,640,700
	6,000	Merck & Co., Inc.		463,980
	6,000	ResMed		1,152,000
	3,000	Vertex Pharmaceuticals, Inc. (a)		870,930
				6,924,093
	INDUSTRIALS — 10.7%
	30,000	CH Robinson Worldwide, Inc.		2,371,800
	10,000	Rockwell Automation		2,130,000
	7,000	Roper Technologies, Inc.		2,717,820
				7,219,620
	INFORMATION TECHNOLOGY — 37.8%
	1,000	Adobe, Inc. (a)		435,310
	30,000	Advanced Micro Devices (a)		1,578,300
	13,000	Analog Devices		1,594,320
	3,000	Autodesk, Inc. (a)		717,570
	20,000	Cisco Systems		932,800
	13,000	Citrix Systems, Inc.		1,922,830
	25,000	Cognex Corp.		1,493,000
	15,000	F5 Networks (a)		2,092,200
	10,000	Fortinet, Inc. (a)		1,372,700
	30,000	Intel Corp.		1,794,900
	4,000	Mastercard, Class A		1,182,800
	30,000	Microsoft Corp.		6,105,300
	3,000	NVIDIA Corp.		1,139,730
	13,000	Skyworks Solutions		1,662,180
	8,000	Visa, Inc., Class A		1,545,360
				25,569,300
	MATERIALS — 4.3%
	2,000	Linde		424,220

Shares			Value ($)
	Common Stocks (continued)
	MATERIALS (continued)
	40,000	Newmont Goldcorp Corp.		2,469,600
	2,000	Omnimax International, Inc. (a)(b)(c)		80
				2,893,900
	REAL ESTATE — 0.8%
	2,000	American Tower , REIT(d)		517,080
	100,000	Socially Responsible Equity Sub, LLC (a)(b)(c)(e)		—
				517,080
		Total Common Stocks (Cost $60,417,813)		62,279,863
	Registered Investment Companies — 8.4%
	221,701	Highland Merger Arbitrage Fund, Class Z (e)		4,451,763
	113,732	NexPoint Strategic Opportunities Fund (e)		1,196,461
		Total Registered Investment Companies (Cost $6,601,573)		5,648,224
	Preferred Stock — 0.0%
	HEALTHCARE — 0.0%
	434,783	AMINO, Inc., Series C (a)(b)(c)(f)(g)		—
		Total Preferred Stock (Cost $2,500,002)		—
	Cash Equivalents — 4.6%
	MONEY MARKET FUND(h) — 4.6%
	3,098,013	Dreyfus Treasury & Agency Cash Management, Institutional Class 0.100%		3,098,013
		Total Cash Equivalents (Cost $3,098,013)		3,098,013
	Total Investments - 105.1%			71,026,100
	(Cost $72,617,401)
	Other Assets & Liabilities, Net - (5.1)%			(3,437,654	)
	Net Assets - 100.0%			67,588,446

(a)	Non-income producing security.
(b)	Securities with a total aggregate value of $80, or 0.0% of net assets, were classified as Level 3 within the three-tier fair value hierarchy. Please see Notes to Financial Statements for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.

INVESTMENT PORTFOLIO (unaudited) (concluded)
As of June 30, 2020	Highland Socially Responsible Equity Fund

(c)	Represents fair value as determined by the Fund’s Board of Trustees (the “Board”), or its designee in good faith, pursuant to the policies and procedures approved by the Board. The Board considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a total aggregate value of $80, or 0.0% of net assets, were fair valued under the Fund’s valuation procedures as of June 30, 2020. Please see Notes to Financial Statements.
(d)	All or part of this security is pledged as collateral for short sales. The market value of the securities pledged as collateral was $1,341,270.
(e)	Affiliated issuer. Assets with a total aggregate market value of $5,648,224, or 8.4% of net assets, were affiliated with the Fund as of June 30, 2020.
(f)	There is currently no rate available.
(g)	Restricted Securities. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under the procedures established by the Fund’s Board of Trustees. Additional Information regarding such securities follows:

Restricted Security	Security Type	Acquisition Date	Cost of Security		Market Value at Period End		Percent of Net Assets
AMINO, Inc.	Preferred Stock	11/18/2016	$	2,500,002	$	—		0.0	%

(h) Rate shown is 7 day effective yield.

Written call option contracts outstanding as of June 30, 2020 were as follows:

Description	Exercise price		Counterparty		Expiration Date		Number of Contracts			Notional Value		Premium			Value
WRITTEN CALL OPTION:
Nvidia Corp. (a)	$	390.00		Jefferies		July 2020		(30	)	$	1,139,730	$	(27,861	)	$	(24,210	)

INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Small-Cap Equity Fund

Shares			Value ($)
	Common Stocks — 107.2%
	COMMUNICATION SERVICES — 1.6%
	15,275	Sinclair Broadcast Group, Inc., Class A (a)		281,977
	CONSUMER DISCRETIONARY — 5.4%
	9,090	Genesco, Inc. (b)		196,889
	8,200	Gentherm, Inc. (a)(b)		318,980
	7,075	LKQ Corp. (a)(b)		185,365
	6,000	Oxford Industries, Inc. (a)		264,060
				965,294
	ENERGY — 1.9%
	6,420	Dril-Quip, Inc. (a)(b)		191,252
	37,498	NexTier Oilfield Solutions (b)		91,870
	14,328	SM Energy (i)		53,730
				336,852
	FINANCIALS — 27.8%
	5,000,000	Alpha Bank AE ADR (b)		1,035,000
	266	Ashford (b)		2,700
	3,094	Canadian Imperial Bank of Commerce (a)		207,205
	9,320	Cannae Holdings, Inc. (a)(b)		383,052
	9,550	CIT Group, Inc. (a)		197,972
	6,377,500	Eurobank Ergasias Services and Holdings ADR		1,425,052
	2,430	IBERIABANK Corp. (a)		110,662
	7,275	KKR & Co., Inc., Class A (i)		224,652
	744,050	National Bank of Greece (b)		1,052,568
	27,738	Oaktree Specialty Lending Corp. (a)		123,989
	3,075	Raymond James Financial, Inc. (a)		211,652
				4,974,504
	HEALTHCARE — 26.9%
	10,700	Aerie Pharmaceuticals, Inc. (b)		157,932
	16,900	Amicus Therapeutics, Inc. (b)		254,852
	2,227	Charles River Laboratories International, Inc. (a)(b)		388,277
	82,385	Coherus Biosciences, Inc. (b)		1,471,396
	15,990	Collegium Pharmaceutical, Inc. (a)(b)		279,825
	25,273	Heron Therapeutics, Inc. (a)(b)		371,766
	5,985	Intersect ENT, Inc. (b)		81,037
	8,245	MEDNAX, Inc. (b)		140,990
	1,335	Molina Healthcare, Inc. (a)(b)		237,603
	2,450	NuVasive, Inc. (a)(b)		136,367
	4,550	Pacira BioSciences, Inc. (a)(b)		238,739
	70,020	Paratek Pharmaceuticals, Inc. (a)(b)		365,504
	3,140	PRA Health Sciences, Inc. (a)(b)		305,491
	20,160	Surgery Partners, Inc. (b)(i)		233,251
	1,922	Ultragenyx Pharmaceutical, Inc. (a)(b)		150,339
				4,813,369
	INDUSTRIALS — 6.6%
	4,620	CoreLogic, Inc. (a)		310,557
	14,000	JetBlue Airways Corp. (a)(b)		152,600
	21,200	Luxfer Holdings (a)		299,980
	18,000	Resources Connection, Inc. (a)		215,460
	660	Teledyne Technologies, Inc. (a)(b)		205,227
				1,183,824

Shares			Value ($)
	Common Stocks (continued)
	INFORMATION TECHNOLOGY — 10.3%
	26,300	Avaya Holdings Corp. (a)(b)		325,068
	5,500	Cornerstone OnDemand, Inc. (a)(b)		212,080
	20,745	Ebix, Inc.		463,858
	4,450	Science Applications International Corp. (a)		345,676
	6,350	SS&C Technologies Holdings, Inc.		358,648
	6,990	Teradata Corp. (a)(b)		145,392
				1,850,722
	MATERIALS — 11.1%
	26,100	Loma Negra Cia Industrial Argentina ADR (b)(i)		111,186
	250,000	MPM Holdings, Inc. (b)(c)		1,250,000
	1,500	Quaker Chemical Corp.		278,475
	6,600	Sensient Technologies Corp. (a)		344,256
				1,983,917
	REAL ESTATE — 12.4%
	158,850	Ashford Hospitality Trust , REIT		114,785
	48,500	Independence Realty Trust, Inc. , REIT(a)		557,265
	27,143	NexPoint Residential Trust , REIT(a)(d)		959,505
	12,277	RAIT Financial Trust , REIT(b)		—
	14,300	RLJ Lodging Trust , REIT(a)		134,992
	100,000	Small-Cap Equity Sub, LLC (b)(d)(e)(f)		—
	10,266	Spirit MTA , REIT		7,880
	13,050	Spirit Realty Capital, Inc. , REIT(a)		454,923
				2,229,350
	UTILITIES — 3.2%
	54,900	Central Puerto ADR		139,446
	5,450	NRG Energy, Inc. (a)		177,452
	13,575	Vistra Energy Corp. (a)		252,766
				569,664
	Total Common Stocks
	(Cost $26,849,278)			19,189,473
	Preferred Stock — 9.1%
	REAL ESTATE — 9.1%
	161,290	Braemar Hotels & Resorts, REIT 5.50%(b)(g)		1,627,416
		Total Preferred Stock (Cost $2,444,543)		1,627,416
	Registered Investment Companies — 8.4%
	39,647	Highland Global Allocation Fund (a)(d)		255,327
	118,673	NexPoint Strategic Opportunities Fund (d)		1,248,440
		Total Registered Investment Companies (Cost $2,779,797)		1,503,767
	Master Limited Partnerships — 4.5%
	ENERGY — 4.5%
	71,290	Energy Transfer LP (a)		507,585
	7,150	Plains All American Pipeline LP (a)		63,206

INVESTMENT PORTFOLIO (unaudited)(concluded)
As of June 30, 2020	Highland Small-Cap Equity Fund

Shares			Value ($)
	Master Limited Partnerships (continued)
	ENERGY (continued)
	22,475	Western Midstream Partners LP (a)		225,649
		Total Master Limited Partnerships (Cost $1,162,632)		796,440
	Cash Equivalents — 0.1%
	MONEY MARKET FUND(h) — 0.1%
	22,175	Dreyfus Treasury & Agency Cash Management, Institutional Class 0.100%		22,175
		Total Cash Equivalents (Cost $22,175)		22,175
Principal Amount $
	Repurchase Agreement (j)(k) — 0.0%
	9	Citibank 0.070%, dated 06/30/20, to be repurchased on 07/01/20, repurchase price $9 (collateralized by various U.S. Government Agency and U.S. Treasury Obligations, par value $0 - $1, 0.000% - 7.875%, 09/17/2020 – 02/15/2047, with a total market value of $9)		9
		Total Repurchase Agreement (Cost $9)		9
	Total Investments - 129.3%			23,139,280
	(Cost $33,258,434)
Shares
	Securities Sold Short— (47.0)%
	Common Stocks — (47.0)%
	INFORMATION TECHNOLOGY — (47.0)%
	(8,400)	Coupa Software (l)		(2,327,136	)
	(24,000)	Zoom Video Communications, Class A (l)		(6,084,960	)
		Total Common Stocks (Proceeds $5,497,759)		(8,412,096	)
		Total Securities Sold Short - (47.0)% (Proceeds $5,497,759)		(8,412,096	)
	Other Assets & Liabilities, Net - 17.7%			3,170,981
	Net Assets - 100.0%			17,898,165

(a)	All or part of this security is pledged as collateral for short sales. The market value of the securities pledged as collateral was $10,022,813.
(b)	Non-income producing security.
(c)	Restricted Securities. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under the procedures established by the Fund’s Board of Trustees. Additional Information regarding such securities follows:

Restricted Security	Security Type	Acquisition Date	Cost of Security	Market Value at Period End	Percent of Net Assets
MPM Holdings, Inc.	Common Stock	5/15/2019	$—	$1,250,000	7.0%

(d)	Affiliated issuer. Assets with a total aggregate market value of $2,463,272, or 13.8% of net assets, were affiliated with the Fund as of June 30, 2020.
(e)	Securities with a total aggregate value of $–, or –% of net assets, were classified as Level 3 within the three-tier fair value hierarchy. Please see Notes to Financial Statements for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.
(f)	Represents fair value as determined by the Fund’s Board of Trustees (the “Board”), or its designee in good faith, pursuant to the policies and procedures approved by the Board. The Board considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a total aggregate value of $–, or –% of net assets, were fair valued under the Fund’s valuation procedures as of June 30, 2020. Please see Notes to Financial Statements.
(g)	Perpetual security with no stated maturity date.
(h)	Rate shown is 7 day effective yield.
(i)	Securities (or a portion of securities) on loan. As of June 30, 2020, the market value of securities loaned was $351,749. The loaned securities were secured with cash and securities collateral of $358,937. Collateral is calculated based on prior day’s prices.
(j)	This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2020 was $9.
(k)	Tri-Party Repurchase Agreement.
(l)	No dividend payable on security sold short.

INVESTMENT PORTFOLIO (unaudited)

As of June 30, 2020 Highland Total Return Fund

Shares			Value ($)
	Common Stocks — 51.5%
	COMMUNICATION SERVICES — 19.5%
	581	Alphabet, Inc., Class A (a)		823,887
	1,596	Alphabet, Inc., Class C (a)		2,256,122
	290,779	CenturyLink, Inc. (b)		2,916,513
	24,365	Comcast, Class A		949,748
	36,817	GCI Liberty, Inc. (a)		2,618,425
	9,100	Liberty Global, Class A (a)		198,926
	113,884	Liberty Media Corp.-Liberty Formula One, Class A (a)		3,323,135
				13,086,756
	CONSUMER DISCRETIONARY — 4.9%
	1,161	Amazon.com, Inc. (a)		3,202,990
	30	Pinelawn Cemetery		13,020
	18,548	Tandy Leather Factory (a)		61,950
				3,277,960
	CONSUMER STAPLES — 2.2%
	14,800	British American Tobacco ADR (b)		574,536
	13,065	Philip Morris International, Inc.		915,334
				1,489,870
	ENERGY — 3.8%
	4,280	Texas Pacific Land Trust		2,545,273
	FINANCIALS — 8.5%
	16,890	Berkshire Hathaway, Inc., Class B (a)		3,015,034
	56,268	Brookfield Asset Management, Inc., Class A		1,851,217
	15,800	Fairfax India Holdings, Class G (a)		132,562
	22,000	KKR & Co., Inc., Class A (b)		679,360
				5,678,173
	HEALTHCARE — 1.3%
	3,654	CVS Health Corp.		237,400
	4,550	GlaxoSmithKline ADR		185,594
	340	Intuitive Surgical, Inc. (a)		193,742
	3,850	Sanofi ADR		196,543
	450	Stryker Corp.		81,086
				894,365
	INDUSTRIALS — 9.2%
	147,021	AMREP Corp. (a)		663,065
	652,122	PICO Holdings, Inc. (a)		5,497,388
				6,160,453
	MATERIALS — 2.1%
	23,355	Keweenaw Land Association Ltd. (a)		1,429,326
	REAL ESTATE — 0.0%
	1,295	Phillips Edison & Co, Inc. , REIT(a)(d)(e)		14,066
		Total Common Stocks (Cost $34,467,225)		34,576,242

Shares			Value ($)
	Foreign Common Stock — 17.0%
	FRANCE — 13.9%
	1,233,331	Bollore SA		3,890,417
	1	Cie du Cambodge		5,503
	3,073	Financiere de L’Odet SA		2,218,325
	1	Financiere Moncey		4,830
	1	Societe Industrielle et Financiere de l’Artois		4,479
	45,560	Vivendi SA		1,176,894
	78,575	Vivendi SA ADR		2,021,342
				9,321,790
	ITALY — 2.3%
	26,400	EXOR		1,514,821
	JAPAN — 0.4%
	4,295	Sony Corp. ADR		296,913
	MEXICO — 0.4%
	137,795	Becle		263,461
		Total Foreign Common Stock (Cost $13,511,636)		11,396,985
Principal Amount ($)
	Corporate Bonds & Notes — 8.6%
	COMMUNICATION SERVICES — 0.1%
		iHeartCommunications, Inc.
	6,472	6.38%, 05/01/26		6,422
	12,132	8.38%, 05/01/27		11,139
	45,000	Time Warner Cable 4.13%, 02/15/21		45,518
				63,079
	CONSUMER DISCRETIONARY — 1.6%
	844,000	Expedia Group 5.95%, 08/15/20		846,498
	150,000	Hyundai Capital America MTN 2.75%, 09/18/20		150,332
	92,000	Nissan Motor Acceptance MTN 2.15%, 07/13/20		91,979
				1,088,809
	CONSUMER STAPLES — 1.0%
	101,000	Kraft Heinz Foods 2.80%, 07/02/20		101,000
	545,000	Wm Wrigley Jr 3.38%, 10/21/20		548,647
				649,647
	ENERGY — 0.5%
	280,000	Kinder Morgan Energy Partners 5.30%, 09/15/20		282,361
	42,000	Kinder Morgan, Inc. 5.63%, 11/15/23 (c)		47,396
				329,757
	FINANCIALS — 1.9%
	340,000	Bank of America VAR ICE LIBOR USD 3 Month+4.174%, 6.50%, (f)		366,065

INVESTMENT PORTFOLIO (unaudited) (continued)
As of June 30, 2020	Highland Total Return Fund

Principal Amount ($)			Value ($)
	Corporate Bonds & Notes (continued)
	FINANCIALS (continued)
	50,000	Bank of New York Mellon Corp. MTN 2.60%, 08/17/20		50,045
	17,000	Charles Schwab 4.45%, 07/22/20		17,038
	100,000	VAR ICE LIBOR USD 3 Month+4.820%, 7.00%, (b)(f)		104,251
	25,000	Goldman Sachs Group, Inc. MTN VAR ICE LIBOR USD 3 Month+1.600%, 2.82%, 07/15/20		25,015
	181,000	JPMorgan Chase & Co VAR ICE LIBOR USD 3 Month+3.470%, 4.23%, (f)		165,115
	500,000	Prudential Financial, Inc. VAR ICE LIBOR USD 3 Month+3.920%, 5.63%, 06/15/43		532,850
				1,260,379
	HEALTHCARE — 1.6%
	539,000	Allergan 3.38%, 09/15/20		541,331
	13,000	Anthem 4.35%, 08/15/20		13,058
	485,000	Bristol-Myers Squibb 2.88%, 08/15/20 (c)		486,412
	17,000	CVS Health 2.80%, 07/20/20		17,015
				1,057,816
	INDUSTRIALS — 0.8%
	26,000	General Electric MTN 5.30%, 02/11/21		26,712
	645,000	General Electric Co VAR ICE LIBOR USD 3 Month+3.330%, 5.00%, (f)		504,785
				531,497
	INFORMATION TECHNOLOGY — 0.0%
	45,000	Broadridge Financial Solutions 3.95%, 09/01/20		45,252
	MATERIALS — 0.8%
	570,000	International Flavors & Fragrances 3.40%, 09/25/20		572,874
	UTILITIES — 0.3%
	250,000	WEC Energy Group, Inc. VAR ICE LIBOR USD 3 Month+2.113%, 2.50%, 05/15/67		198,004
		Total Corporate Bonds & Notes (Cost $6,099,639)		5,797,114

Shares			Value ($)
	Registered Investment Companies — 7.8%
	62,604	BlackRock Core Bond Trust		962,223
	1	BlackRock Taxable Municipal Bond Trust		25
	8,223	Cohen & Steers Limited Duration Preferred and Income Fund		185,100
	418	DoubleLine Income Solutions Fund		6,425
	45,683	DoubleLine Opportunistic Credit Fund		865,693
	29,918	Guggenheim Taxable Municipal Managed Duration Trust		695,593
	21,450	JPMorgan Ultra-Short Income Fund		1,088,159
	28,000	PIMCO Dynamic Credit and Mortgage Income Fund		516,040
	52,228	RiverNorth		726,491
	39,710	TCW Strategic Income Fund		216,817
		Total Registered Investment Companies (Cost $4,966,182)		5,262,566
	Preferred Stock — 5.1%
	ENERGY — 0.3%
	9,850	Energy Transfer Operating 7.38%(f)(g)		189,218
	FINANCIALS — 4.2%
	635	Bank of America 7.25%(a)(f)		852,297
	8,000	Bank of America 6.20%(f)		204,800
	835	Bank of New York Mellon 5.20%(f)		21,009
	5,000	Gabelli Dividend & Income Trust 5.25%(f)		128,250
	3,000	JPMorgan Chase 6.10%(b)(f)		76,230
	10,000	JPMorgan Chase 5.75%(f)		264,200
	20,000	PNC Financial Services Group 6.13%(f)(g)		526,000
	7,553	Prudential Financial 5.70%, 03/15/2053		190,562
	500	Prudential Financial 5.75%, 12/15/2052(b)		12,610
	19,275	US Bancorp 6.50%(f)(g)		502,692
	3,200	Wells Fargo 5.85%(f)(g)		79,232
				2,857,882
	REAL ESTATE — 0.1%
	900	Rexford Industrial Realty, REIT 5.88%(f)		23,022
	1,908	VEREIT, REIT 6.70%(f)		47,738
				70,760
	UTILITIES — 0.5%
	8,317	Duke Energy 5.63%, 09/15/2078		220,650
	3,200	NextEra Energy Capital Holdings 5.65%, 03/01/2079		85,664
	1,332	Southern 5.25%, 12/01/2077		33,580
				339,894
		Total Preferred Stock (Cost $3,353,956)		3,457,754

INVESTMENT PORTFOLIO (unaudited) (continued)
As of June 30, 2020	Highland Total Return Fund

Principal Amount ($)			Value ($)
	Foreign Corporate Bonds & Notes — 3.5% (h)
	GERMANY — 1.5%
	18,000	BMW US Capital, 3.25%, 08/14/20		18,060
	150,000	Daimler Finance North America, 2.70%, 08/03/20		150,217
	77,000	Fresenius Medical Care US Finance II, 4.13%, 10/15/20		77,094
	800,000	Volkswagen International Finance NV, 4.00%, 08/12/20		802,391
				1,047,762
	IRELAND — 0.7%
	450,000	AerCap Ireland Capital DAC, 4.63%, 10/30/20		451,972
	UNITED KINGDOM — 1.3%
	20,000	BAT Capital Corp., VAR ICE LIBOR USD 3 Month+0.590%, 1.01%, 08/14/20		20,002
	419,000	Diageo Capital, 4.83%, 07/15/20		419,673
	425,000	Rolls-Royce, 2.38%, 10/14/20 (c)		424,141
				863,816
		Total Foreign Corporate Bonds & Notes (Cost $2,365,827)		2,363,550
	Agency Mortgage-Backed Securities — 1.8%
	40,717	Federal Home Loan Mortgage Corp. 5.00%, 6/1/2041		47,004
		Federal National Mortgage Assoc.
	360,743	3.00%, 2/1/2043 to 6/1/2043 (i)		389,314
	161,591	3.50%, 11/1/2042 to 2/1/2043 (i)		177,277
	58,676	4.00%, 2/1/2044		64,465
	111,252	4.50%, 2/1/2040 to 1/1/2041 (i)		123,854
	53,192	5.00%, 6/1/2041		61,349
		Government National Mortgage Assoc.
	85,842	3.00%, 4/20/2043 to 6/20/2043 (i)		91,920
	85,835	3.50%, 5/20/2043		93,483
	98,282	4.00%, 1/20/2041 to 4/20/2043 (i)		108,402
	35,157	4.50%, 5/20/2040 to 3/20/2041 (i)		38,634
		Total Agency Mortgage-Backed Securities (Cost $1,119,881)		1,195,702
	U.S. Treasury Obligation — 1.5%
	1,000,000	U.S. Treasury Bills 0.00%, 8/6/2020 (j)		999,890
		Total U.S. Treasury Obligations (Cost $999,885)		999,890

Shares			Value ($)
	Master Limited Partnership — 0.4%
	ENERGY — 0.4%
	13,000	Enterprise Products Partners		236,210
		Total Master Limited Partnerships (Cost $176,371)		236,210
Principal Amount ($)
	Non-Agency Collateralized Mortgage-Backed Securities — 0.2%
	60,000	JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class C 5.05%, 1/15/2047 (k)		59,729
	40,000	WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class AS 4.35%, 3/15/2047 (k)		42,888
		Total Non-Agency Collateralized Mortgage-Backed Security (Cost $101,134)		102,617
	Asset-Backed Security — 0.0%
	1	Bear Stearns Asset Backed Securities Trust, Series 2003-ABF1, Class A VAR ICE LIBOR USD 1 Month+0.740%, 0.92%, 1/25/2034		1
		Total Asset-Backed Securities (Cost $1)		1
	Agency Collateralized Mortgage Obligations — 0.0%
	43,617	Federal National Mortgage Assoc. REMIC, Series 2012-93, Class SW VAR ICE LIBOR USD 1 Month+6.100%, 5.92%, 9/25/2042 (l)		8,069
	3,031	Federal National Mortgage Assoc. STRIPS, Series 2004-354, Class 1 0.00%, 12/25/2034 (m)		3,022
		Total Agency Collateralized Mortgage Obligations (Cost $27,196)		11,091

INVESTMENT PORTFOLIO (unaudited) (continued)
As of June 30, 2020	Highland Total Return Fund

Shares			Value ($)
	Cash Equivalents — 3.1%
	MONEY MARKET FUND(n) — 3.1%
	2,062,989	Dreyfus Treasury & Agency Cash Management, Institutional Class 0.100%		2,062,989
		Total Cash Equivalents (Cost $2,062,989)		2,062,989
Principal Amount $
	Repurchase Agreement (o)(p) — 0.0%
	33,807	Citigroup Global Markets 0.070%, dated 06/30/20, to be repurchased on 07/01/20, repurchase price $33,807 (collateralized by various U.S. Government Agency and U.S. Treasury Obligations, par value $0 - $19,601, 0.000% - 6.750%, 09/17/2020 – 08/15/2044, with a total market value of $34,483)		33,807
		Total Repurchase Agreement (Cost $33,807)		33,807
	Total Investments - 100.5%			67,496,518
	(Cost $69,285,729)
	Other Assets & Liabilities, Net - (0.5)%			(355,815	)
	Net Assets - 100.0%			67,140,703

(a)	Non-income producing security.
(b)	Securities (or a portion of securities) on loan. As of June 30, 2020, the market value of securities loaned was $3,424,220. The loaned securities were secured with cash and securities collateral of $3,494,342. Collateral is calculated based on prior day’s prices.
(c)	Securities exempt from registration under Rule 144A of the 1933 Act. These securities may only be resold in transaction exempt from registration to qualified institutional buyers. At June 30, 2020, these securities amounted to $1,090,511 or 1.6% of net assets.
(d)	Securities with a total aggregate value of $14,066, or 0.0% of net assets, were classified as Level 3 within the three-tier fair value hierarchy. Please see Notes to Financial Statements for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.
(e)	Represents fair value as determined by the Fund’s Board of Trustees (the “Board”), or its designee in good faith, pursuant to the policies and procedures approved by the Board. The Board considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a total aggregate value of $14,066, or 0.0% of net assets, were fair valued under the Fund’s valuation procedures as of June 30, 2020. Please see Notes to Financial Statements.
(f)	Perpetual security with no stated maturity date.

(g)	Variable or floating rate security. The base lending rates are generally the lending rate offered by one or more European banks such as the LIBOR. The interest rate shown reflects the rate in effect June 30, 2020. Current LIBOR rates include 1 month which is equal to 0.162% and 3 months equal to 0.302%.
(h)	As described in the Fund’s prospectus, a company is considered to be a non-U.S. issuer if the company’s securities principally trade on a market outside of the United States, the company derives a majority of its revenues or profits outside of the United States, the company is not organized in the United States, or the company is significantly exposed to the economic fortunes and risks of regions outside the United States.
(i)	Securities are grouped by coupon and represent a range of maturities.
(j)	Rate shown represents the effective yield to maturity at date of purchase.
(k)	Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.
(l)	Interest only security (“IO”). These types of securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.
(m)	Principal only security (“PO”). These types of securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder.
(n)	Rate shown is 7 day effective yield.
(o)	This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2020 was $33,807.
(p)	Tri-Party Repurchase Agreement.

The Fund invested in the following countries as of June 30, 2020:

Country	Percentage (based on Total Investments)*
United States		79.6	%
France		13.8	%
Italy		2.3	%
Germany		1.5	%
United Kingdom		1.3	%
Ireland		0.7	%
Japan		0.4	%
Mexico		0.4	%
		100.0	%

INVESTMENT PORTFOLIO (unaudited) (concluded)
As of June 30, 2020	Highland Total Return Fund

Industry1	Domestic			Foreign			Percentage (based on Total Investments)*
Media & Entertainment		10.9	%		10.5	%		21.4	%
Diversified Financials		8.4	%		2.3	%		10.7	%
Commercial Services & Supplies		9.2	%		0.0	%		9.2	%
Telecommunication Services		8.5	%		0.0	%		8.5	%
Retailing		4.9	%		0.0	%		4.9	%
Energy		3.8	%		0.0	%		3.8	%
Transportation		0.0	%		3.3	%		3.3	%
Food, Beverage & Tobacco		2.2	%		0.4	%		2.6	%
Materials		2.1	%		0.0	%		2.1	%
Health Care Equipment & Services		0.7	%		0.0	%		0.7	%
Pharmaceuticals, Biotechnology & Life Sciences		0.6	%		0.0	%		0.6	%
Consumer Durables & Apparel		0.0	%		0.4	%		0.4	%
Real Estate		0.0	%		0.0	%		0.0	%
Consumer Services		0.0	%		0.0	%		0.0	%
Technology Hardware & Equipment		0.0	%		0.0	%		0.0	%
								68.2	%

Sector	Percentage (based on Total Investments)*
Corporate Bonds & Notes		8.6	%
Preferred Stock		5.1	%
Foreign Corporate Bonds & Notes		3.5	%
Agency Mortgage-Backed Security		1.8	%
U.S. Treasury Obligation		1.5	%
Other (each less than 1.0%)		0.4	%
		20.9	%

Other Instruments	Percentage (based on Total Investments)*
Cash Equivalent		3.1	%
Registered Investment Companies		7.8	%
		10.9	%
		100.0	%

1	Includes domestic and foreign equity securities
*	The calculated percentages are based on total investments. The other assets & liabilities, net line has been excluded from the calculation

INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Fixed Income Fund

Principal Amount ($)			Value ($)
	Corporate Bonds & Notes — 36.2%
	COMMUNICATION SERVICES — 0.3%
	336,000	AT&T 5.15%, 03/15/42		419,985
	168,000	Warner Media 5.35%, 12/15/43		195,713
				615,698
	CONSUMER DISCRETIONARY — 2.2%
	1,165,000	Booking Holdings 3.55%, 03/15/28		1,273,469
	750,000	Ford Motor Credit VAR ICE LIBOR USD 3 Month+1.080%, 1.64%, 08/03/22		684,622
	500,000	5.88%, 08/02/21		505,860
	197,000	General Motors Financial VAR ICE LIBOR USD 3 Month+1.550%, 2.86%, 01/14/22		195,749
		O’Reilly Automotive
	500,000	3.90%, 06/01/29		575,880
	250,000	4.35%, 06/01/28		291,863
	750,000	Starbucks 2.55%, 11/15/30		788,469
				4,315,912
	CONSUMER STAPLES — 1.6%
	108,000	Altria Group 4.50%, 05/02/43		116,774
	1,000,000	Sysco 2.40%, 02/15/30		990,615
	1,950,000	Walgreens Boots Alliance 3.20%, 04/15/30		2,020,347
				3,127,736
	ENERGY — 0.6%
	259,000	Energy Transfer Operating 6.50%, 02/01/42		281,387
	90,000	Occidental Petroleum 6.20%, 03/15/40		75,769
	1,000,000	Plains All American Pipeline VAR ICE LIBOR USD 3 Month+4.110%, 6.13%, (a)		714,780
	150,000	Unit Corp 6.63%, 05/15/21 (b)		20,257
				1,092,193
	FINANCIALS — 15.2%
	169,000	American Express VAR ICE LIBOR USD 3 Month+3.428%, 3.82%, (a)(c)		143,829
	1,750,000	Arbor Realty Trust 4.50%, 03/15/27		1,531,005
	750,000	Assured Guaranty US Holdings 5.00%, 07/01/24 (c)		838,430
		Bank of America
	1,750,000	VAR ICE LIBOR USD 3 Month+3.898%, 6.10%, (a)		1,847,466
	500,000	VAR ICE LIBOR USD 3 Month+4.553%, 6.30%, (a)		555,138

Principal Amount ($)			Value ($)
	Corporate Bonds & Notes (continued)
	FINANCIALS (continued)
	1,000,000	Bank of New York Mellon VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.358%, 4.70%, (a)		1,042,500
		Charles Schwab
	1,400,000	VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.971%, 5.38%, (a)		1,499,148
	505,000	VAR ICE LIBOR USD 3 Month+4.820%, 7.00%, (a)		526,468
	925,000	Citizens Financial Group VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+5.313%, 5.65%, (a)		939,772
	1,500,000	Everest Reinsurance Holdings VAR ICE LIBOR USD 3 Month+2.385%, 2.78%, 05/15/37		1,278,359
	103,000	Genworth Holdings 4.80%, 02/15/24		75,823
	500,000	Goldman Sachs Capital III VAR ICE LIBOR USD 3 Month+0.770%, 4.00%, (a)		416,835
		Goldman Sachs Group, Inc. MTN
	750,000	VAR ICE LIBOR USD 3 Month+1.750%, 2.64%, 10/28/27		760,647
	500,000	VAR ICE LIBOR USD 3 Month+3.922%, 4.37%, (a)		463,354
	500,000	Independent Bank Group VAR ICE LIBOR USD 3 Month+2.830%, 5.00%, 12/31/27		498,523
		JPMorgan Chase & Co
	245,000	VAR ICE LIBOR USD 3 Month+3.470%, 4.23%, (a)		223,499
	450,000	VAR ICE LIBOR USD 3 Month+3.800%, 4.49%, (a)		426,899
	3,000,000	VAR ICE LIBOR USD 3 Month+3.780%, 6.75%, (a)		3,231,308
	1,550,000	MetLife VAR ICE LIBOR USD 3 Month+3.575%, 3.89%, (a)		1,401,781
	850,000	NTC Capital II VAR ICE LIBOR USD 3 Month+0.590%, 1.81%, 04/15/27		753,176
	2,750,000	Oaktree Specialty Lending 3.50%, 02/25/25		2,689,536
	750,000	Old Republic International 4.88%, 10/01/24		812,048
	250,000	People’s United Bank 4.00%, 07/15/24		265,513
	895,000	Prudential Financial, Inc. VAR ICE LIBOR USD 3 Month+3.920%, 5.63%, 06/15/43		953,801

INVESTMENT PORTFOLIO (unaudited)(continued)
As of June 30, 2020	Highland Fixed Income Fund

Principal Amount ($)			Value ($)
	Corporate Bonds & Notes (continued)
	FINANCIALS (continued)
	750,000	State Street VAR ICE LIBOR USD 3 Month+1.000%, 1.31%, 06/15/47		600,221
		Truist Financial
	1,650,000	VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+4.605%, 4.95%, (a)		1,691,250
	2,000,000	VAR US Treas Yield Curve Rate T Note Const Mat 10 Yr+4.349%, 5.10%, (a)		2,070,200
	450,000	US Bancorp VAR ICE LIBOR USD 3 Month+3.486%, 5.13%, (a)		436,712
	795,000	Wachovia Capital Trust II VAR ICE LIBOR USD 3 Month+0.500%, 1.72%, 01/15/27		693,085
	500,000	Wells Fargo MTN VAR United States Secured Overnight Financing Rate+2.100%, 2.39%, 06/02/28		517,101
				29,183,427
	HEALTHCARE — 1.6%
	2,500,000	AmerisourceBergen 2.80%, 05/15/30		2,636,885
	54,133	CVS Pass-Through Trust 6.04%, 12/10/28		61,211
	187,000	Endo Finance 5.38%, 01/15/23 (d)		181,604
	97,000	Mylan 5.40%, 11/29/43		121,746
				3,001,446
	INDUSTRIALS — 4.7%
	1,554,000	BNSF Funding Trust I VAR ICE LIBOR USD 3 Month+2.350%, 6.61%, 12/15/55		1,705,981
	1,000,000	Carrier Global 2.70%, 02/15/31 (d)		998,903
	1,000,000	FedEx 4.25%, 05/15/30		1,144,420
		General Electric Co MTN
	750,000	VAR ICE LIBOR USD 3 Month+0.300%, 1.52%, 05/13/24		700,793
	689,000	VAR ICE LIBOR USD 3 Month+3.330%, 5.00%, (a)		539,220
		Southwest Airlines
	390,000	2.63%, 02/10/30		350,878
	3,100,000	7.38%, 03/01/27		3,484,872
				8,925,067
	MATERIALS — 2.2%
	1,750,000	Ball 4.88%, 03/15/26		1,906,048
	1,250,000	PPG Industries 2.55%, 06/15/30		1,294,648

Principal Amount ($)			Value ($)
	Corporate Bonds & Notes (continued)
	MATERIALS (continued)
	1,000,000	Sherwin-Williams 2.30%, 05/15/30		1,022,915
				4,223,611
	REAL ESTATE — 5.2%
	650,000	Corporate Office Properties 5.25%, 02/15/24		696,866
	1,000,000	Crown Castle International 2.25%, 01/15/31		1,011,432
		Federal Realty Investment Trust
	475,000	3.20%, 06/15/29		495,040
	1,500,000	3.50%, 06/01/30		1,585,451
		National Retail Properties
	428,000	4.00%, 11/15/25		469,197
	400,000	4.30%, 10/15/28		436,167
	750,000	Regency Centers 2.95%, 09/15/29		761,867
	830,000	Retail Opportunity Investments Partnership 4.00%, 12/15/24		806,579
	735,000	Simon Property Group 3.38%, 12/01/27		781,215
		VEREIT Operating Partnership
	1,250,000	3.10%, 12/15/29		1,205,731
	250,000	3.40%, 01/15/28		252,338
	100,000	3.95%, 08/15/27		104,131
	500,000	4.60%, 02/06/24		534,034
	200,000	4.63%, 11/01/25		216,424
	569,000	WP Carey 4.60%, 04/01/24		606,414
				9,962,886
	UTILITIES — 2.6%
	1,925,000	Duke Energy VAR US Treas Yield Curve Rate T Note Const Mat 5 Yr+3.388%, 4.88%, (a)		1,925,416
	1,000,000	Pacific Gas and Electric 2.50%, 02/01/31 (c)		980,830
	42,000	PacifiCorp 6.25%, 10/15/37		61,217
	2,560,000	WEC Energy Group, Inc. VAR ICE LIBOR USD 3 Month+2.113%, 2.50%, 05/15/67		2,027,561
				4,995,024
		Total Corporate Bonds & Notes (Cost $70,551,269)		69,443,000
	Agency Mortgage-Backed Securities — 28.5%
		Federal Home Loan Mortgage Corp.
	790,895	4.00%, 5/1/2044		875,427
	128,761	5.00%, 6/1/2041		148,641

INVESTMENT PORTFOLIO (unaudited)(continued)
As of June 30, 2020	Highland Fixed Income Fund

Principal Amount ($)			Value ($)
	Agency Mortgage-Backed Securities (continued)
	2,000,000	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K735, Class AM 2.46%, 5/25/2026		2,169,016
		Federal National Mortgage Assoc.
	2,786,606	3.00%, 2/1/2043 to 6/1/2043 (e)		3,007,970
	1,190,166	3.50%, 11/1/2042 to 2/1/2043 (e)		1,306,730
	1,196,925	4.00%, 1/1/2041 to 3/1/2044 (e)		1,318,854
	1,600,849	4.50%, 10/1/2039 to 4/1/2041 (e)		1,782,144
	168,211	5.00%, 6/1/2041		194,004
	1,500,000	Federal National Mortgage Assoc. ACES, Series 2019-M12, Class A2 2.89%, 6/25/2029 (f)		1,679,582
	1,248,818	FRESB Mortgage Trust, Series 2017-SB42, Class A10F 2.96%, 10/25/2027 (f)		1,312,134
	2,676,496	FRESB Mortgage Trust, Series 2018-SB52, Class A10F 3.48%, 6/25/2028 (f)		2,874,959
	993,444	FRESB Mortgage Trust, Series 2019-SB63, Class A10H VAR ICE LIBOR USD 1 Month+2.890%, 2.89%, 3/25/2039		1,042,738
	1,941,712	FRESB Mortgage Trust, Series 2018-SB53, Class A10F 3.66%, 6/25/2028 (f)		2,147,349
	1,920,920	FRESB Mortgage Trust, Series 2019-SB62, Class A10F 3.07%, 3/25/2029 (f)		2,047,217
	1,985,232	FRESB Mortgage Trust, Series 2019-SB60, Class A10F 3.31%, 1/25/2029 (f)		2,138,838
	1,824,780	Government National Mortgage Assoc., Series 2018-129, Class AG 3.10%, 5/16/2059		1,906,767
	1,827,348	Government National Mortgage Assoc., Series 3, Class AH 2.50%, 2/16/2062		1,911,150
	2,417,288	Government National Mortgage Assoc., Series 69, Class AS 2.75%, 2/16/2058		2,539,527
	2,229,548	Government National Mortgage Assoc., Series 2019-55, Class AH 3.15%, 3/16/2061 (f)		2,400,981
	1,861,070	Government National Mortgage Assoc., Series 2017-106, Class AC 2.60%, 4/16/2051		1,958,258
	458,005	Government National Mortgage Assoc., Series 2018-3, Class AG 2.50%, 10/16/2058		477,621
		Government National Mortgage Assoc.
	963,460	3.50%, 5/20/2043		1,049,305
	969,197	4.00%, 1/20/2041 to 4/20/2043 (e)		1,069,062

Principal Amount ($)			Value ($)
	Agency Mortgage-Backed Securities (continued)
	891,600	Government National Mortgage Assoc., Series 46, Class A 2.50%, 11/16/2057		933,722
	1,830,671	Government National Mortgage Assoc., Series 2012-83, Class AK 3.40%, 12/16/2053 (f)		1,982,140
	1,000,000	Government National Mortgage Assoc., Series 2018-68, Class B 3.00%, 2/16/2059 (f)		1,091,430
	2,894,566	Government National Mortgage Assoc., Series 2019-2, Class AE 3.25%, 3/16/2059		3,079,797
	1,989,324	Government National Mortgage Assoc., Series 8, Class AH 2.55%, 1/16/2062		2,088,665
	601,536	Government National Mortgage Assoc., Series 2017-24, Class A 2.25%, 9/16/2044		616,150
	602,836	Government National Mortgage Assoc., Series 2018-123, Class AH 3.25%, 9/16/2052		632,436
	2,500,000	Government National Mortgage Assoc., Series 2012-100, Class BA 2.60%, 8/16/2052 (f)		2,656,166
	2,077,648	Government National Mortgage Assoc., Series 2018-156, Class AD 3.25%, 8/16/2059 (f)		2,225,786
	1,785,951	Government National Mortgage Assoc., Series 70, Class AE 2.60%, 10/16/2058		1,873,948
	3,760	Government National Mortgage Assoc., Series 2011-10, Class AC 3.62%, 11/16/2044 (f)		3,759
		Total Agency Mortgage-Backed Securities (Cost $51,120,534)		54,542,273
Shares
	Preferred Stock — 8.2%
	COMMUNICATION SERVICES — 3.5%
	166,426	Qwest Corp. 6.50%, 09/01/2056(c)		3,851,098
	118,596	Qwest Corp. 6.75%, 06/15/2057(c)		2,865,279
				6,716,377
	ENERGY — 1.5%
	38,650	Enbridge 6.38%, 04/15/2078(g)		939,195
	13,800	Energy Transfer Operating 7.60%(a)(g)		283,728
	32,862	Energy Transfer Operating 7.38%(a)(g)		631,279
	53,750	Energy Transfer Operating 7.63%(a)(g)		1,045,975
				2,900,177

INVESTMENT PORTFOLIO (unaudited)(continued)
As of June 30, 2020	Highland Fixed Income Fund

Shares			Value ($)
	Preferred Stock (continued)
	FINANCIALS — 1.7%
	20,000	B. Riley Financial 6.75%, 05/31/2024(c)		442,400
	12,488	B. Riley Financial 6.88%, 09/30/2023		286,225
	30,050	Citigroup 6.88%(a)(c)(g)		793,620
	13,005	GMAC Capital Trust I 6.18%, 02/15/2040(g)		291,572
	21,550	Monroe Capital 5.75%, 10/31/2023		490,478
	19,012	Stifel Financial 5.20%, 10/15/2047		487,468
	16,800	Wells Fargo 5.85%(a)(g)		415,968
				3,207,731
	REAL ESTATE — 0.7%
	358	American Homes 4 Rent, REIT 6.25%(a)		9,133
	17,751	Brookfield Property, REIT 6.38%(a)		273,720
	20,600	Brookfield Property Partners 6.50%(a)		376,568
	280	Rexford Industrial Realty, REIT 5.88%(a)		7,069
	27,015	VEREIT, REIT 6.70%(a)		675,915
				1,342,405
	UTILITIES — 0.8%
	30,000	SCE Trust III 5.75%(a)(g)		649,800
	9,978	SCE Trust V 5.45%(a)(g)		218,518
	12,348	SCE Trust VI 5.00%(a)		272,521
	18,341	Southern 4.95%, 01/30/2080		460,359
				1,601,198
		Total Preferred Stock (Cost $16,493,189)		15,767,888
Principal Amount ($)
	U.S. Treasury Obligations — 7.1%
		U.S. Treasury Bonds
	3,400,000	1.13%, 5/15/2040		3,369,254
	1,500,000	2.00%, 2/15/2050		1,718,379
	3,500,000	2.25%, 8/15/2046		4,152,627
	1,500,000	2.50%, 2/15/2045 to 2/15/2046 (e)		1,853,603
	2,000,000	2.75%, 11/15/2042		2,563,125
		Total U.S. Treasury Obligations (Cost $12,173,439)		13,656,988
	U.S. Government Agency - Asset-Backed Securities — 5.6%
	1,983,453	SBA Small Business Investment Company, Series 2018-10A, Class 1 3.19%, 3/10/2028		2,130,244
	2,005,606	SBA Small Business Investment Company, Series 2018-10B, Class 1 3.55%, 9/10/2028		2,159,991
	2,000,000	SBA Small Business Investment Company, Series 2020-10A, Class 1 2.08%, 3/10/2030		2,073,677
	1,805,896	SBA Small Business Investment Company, Series 2019-10A, Class 1 3.11%, 3/10/2029		1,933,768

Principal Amount ($)			Value ($)
	U.S. Government Agency - Asset-Backed Securities (continued)
	892,784	SBA Small Business Investment Company, Series 2017-10B, Class 1 2.52%, 9/10/2027		920,710
	1,345,074	Small Business Administration, Series 2018-20H, Class 1 3.58%, 8/1/2038		1,482,427
		Small Business Administration
	12,382	VAR Prime Rate by Country+-2.450%, 0.80%, 7/25/2028		12,383
	6,739	VAR Prime Rate by Country+-2.600%, 2.15%, 5/25/2043		6,707
		Total U.S. Government Agency - Asset-Backed Securities (Cost $10,152,882)		10,719,907
Shares
	Registered Investment Companies — 3.7%
	17,476	BlackRock MuniHoldings Investment Quality Fund		225,965
	107,662	DoubleLine Income Solutions Fund		1,654,765
	54,011	DoubleLine Opportunistic Credit Fund		1,023,508
	90,211	PIMCO Dynamic Credit and Mortgage Income Fund		1,662,589
	175,925	RiverNorth		2,447,117
		Total Registered Investment Companies (Cost $7,737,880)		7,013,944
Principal Amount ($)
	Municipal Bonds — 3.5%
	CALIFORNIA — 0.6%
	200,000	California State 0.96%, 04/01/47		199,694
	300,000	San Francisco City & County Redevelopment Financing Authority 8.26%, 08/01/29		430,191
	470,000	Stanton Redevelopment Agency 8.63%, 12/01/21		520,393
				1,150,278
	KENTUCKY — 0.4%
	750,000	Clark County School District Finance Corp Insured: ST INTERCEPT 5.20%, 06/01/26		764,595
	MARYLAND — 0.3%
	500,000	Maryland Economic Development 3.70%, 06/01/25		523,735
	MICHIGAN — 0.7%
	750,000	Belding Area Schools Insured: Q-SBLF 6.50%, 05/01/25		753,420

INVESTMENT PORTFOLIO (unaudited)(continued)
As of June 30, 2020	Highland Fixed Income Fund

Principal Amount ($)			Value ($)
	Municipal Bonds (continued)
	MICHIGAN (continued)
	635,000	Comstock Park Public Schools Insured: Q-SBLF 6.30%, 05/01/26		661,340
				1,414,760
	NEW YORK — 0.6%
	320,000	New York & New Jersey Port Authority 4.46%, 10/01/62		426,579
	720,000	New York State Dormitory Authority 5.00%, 01/01/24		755,064
				1,181,643
	NORTH DAKOTA — 0.5%
	750,000	Kindred Public School District No. 2 6.00%, 08/01/27		950,603
	WASHINGTON — 0.4%
	750,000	Washington Higher Education Facilities Authority 4.27%, 10/01/22		778,253
		Total Municipal Bonds (Cost $6,332,713)		6,763,867
	Asset-Backed Securities — 2.3%
	410,000	Avis Budget Rental Car Funding AESOP, Series 2016-1A, Class A 2.99%, 6/20/2022 (d)		407,605
	319,135	Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A4 1.87%, 2/15/2022 (d)		319,309
	2,200,000	Ford Credit Auto Owner Trust, Series 2015-2, Class A 2.44%, 1/15/2027 (d)		2,201,498
	1,000,000	GMF Floorplan Owner Revolving Trust, Series 2018-2, Class A1 3.13%, 3/15/2023 (d)		1,014,632
	431,227	Toyota Auto Receivables Owner Trust, Series 2017-D, Class A3 1.93%, 1/18/2022		433,803
		Total Asset-Backed Securities (Cost $4,328,250)		4,376,847
Shares
	Common Stocks — 1.1%
	FINANCIALS — 0.1%
	30,103	Oaktree Strategic Income		190,853
	REAL ESTATE — 1.0%
	738	CIM Commercial Trust , REIT(c)		7,956
	23,221	Phillips Edison & Co, Inc. , REIT(h)(i)(j)		252,183
	248,694	VEREIT, Inc. , REIT		1,599,102
				1,859,241
		Total Common Stocks (Cost $2,539,240)		2,050,094

Principal Amount ($)			Value ($)
	Non-Agency Collateralized Mortgage-Backed Securities — 0.8%
	120,000	Commercial Mortgage Trust, Series 2014-CR14, Class AM 4.53%, 2/10/2047 (f)		128,337
	100,000	Commercial Mortgage Trust, Series 2013-LC13, Class AM 4.56%, 8/10/2046 (d)(f)		106,541
	105,000	GS Mortgage Securities Trust, Series 2014-GC20, Class AS 4.26%, 4/10/2047		111,750
	153,000	JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class C 5.05%, 1/15/2047 (f)		152,310
	100,000	JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class C 4.97%, 2/15/2047 (f)		93,708
	210,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class AS 4.22%, 7/15/2046 (f)		220,216
	191,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class C 4.22%, 7/15/2046 (f)		177,695
	100,000	Morgan Stanley Capital I Trust, Series 2012-C4, Class B 5.21%, 3/15/2045 (d)(f)		98,802
	115,000	WFRBS Commercial Mortgage Trust, Series 2013-C17, Class AS 4.26%, 12/15/2046		121,933
	140,000	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class B 4.72%, 3/15/2047 (f)		144,931
	263,000	WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class AS 4.35%, 3/15/2047 (f)		281,986
		Total Non-Agency Collateralized Mortgage-Backed Securities (Cost $1,619,335)		1,638,209
	Agency Collateralized Mortgage Obligations — 0.7%
	1,269,800	Federal National Mortgage Assoc. REMIC, Series 2016-104, Class QA 3.00%, 11/25/2043		1,315,910
	59,244	Federal National Mortgage Assoc. REMIC, Series 2010-16, Class PA 4.50%, 2/25/2040		64,557
		Total Agency Collateralized Mortgage Obligations (Cost $1,326,731)		1,380,467

INVESTMENT PORTFOLIO (unaudited)(continued)
As of June 30, 2020	Highland Fixed Income Fund

Shares			Value ($)
	Exchange-Traded Fund — 0.6%
	82,500	PGIM High Yield Bond Fund		1,091,475
		Total Exchange-Traded Funds (Cost $1,052,572)		1,091,475
Principal Amount ($)
	Foreign Corporate Bonds & Notes — 0.4% (k)
	CANADA — 0.1%
	205,000	Nutrien, 4.90%, 06/01/43		243,044
	SWITZERLAND — 0.3%
	500,000	UBS AG, 5.13%, 05/15/24		544,193
		Total Foreign Corporate Bonds & Notes (Cost $716,263)		787,237
Shares
	Cash Equivalents — 0.4%
	MONEY MARKET FUND(l) — 0.4%
	693,929	Dreyfus Treasury & Agency Cash Management, Institutional Class 0.100%		693,929
		Total Cash Equivalents (Cost $693,929)		693,929
Principal Amount $
	Repurchase Agreements (m)(n) — 1.1%
	494,211	Citigroup Global Markets 0.090%, dated 06/30/20, to be repurchased on 07/01/20, repurchase price $494,212 (collateralized by various U.S. Government Agency and U.S. Treasury Obligations, par value $798 - $94,349, 0.500% - 7.500%, 07/31/2021 – 05/20/2070, with a total market value of $504,095)		494,211
	494,211	HSBC Securities 0.080%, dated 06/30/20, to be repurchased on 07/01/20, repurchase price $494,212 (collateralized by various U.S. Government Agency and U.S. Treasury Obligations, par value $690 - $209,749, 0.000% - 4.500%, 05/15/2044 – 03/20/2050, with a total market value of $504,095)		494,211

Principal Amount ($)			Value ($)
	Repurchase Agreements (continued)
	146,508	JPMorgan Securities 0.070%, dated 06/30/20, to be repurchased on 07/01/20, repurchase price $146,508 (collateralized by various U.S. Government Agency and U.S. Treasury Obligations, par value $546 - $123,529, 0.000%—2.500%, 10/08/2020 – 04/30/2023, with a total market value of $149,438)		146,508
	494,211	Nomura Securities 0.090%, dated 06/30/20, to be repurchased on 07/01/20, repurchase price $494,212 (collateralized by various U.S. Government Agency and U.S. Treasury Obligations, par value $2 - $492,698, 2.450%—6.000%, 07/01/2027 – 10/20/2068, with a total market value of $504,095)		494,211
	494,211	RBC Dominion Securities 0.090%, dated 06/30/20, to be repurchased on 07/01/20, repurchase price $494,212 (collateralized by various U.S. Government Agency and U.S. Treasury Obligations, par value $0 - $93,194, 0.000%—7.000%, 01/31/2022 – 07/01/2050, with a total market value of $504,095)		494,211
		Total Repurchase Agreements (Cost $2,123,352)		2,123,352
	Total Investments – 100.2%			192,049,477
	(Cost $188,961,578)
	Other Assets & Liabilities, Net - (0.2%)			(428,549)
	Net Assets - 100.0%			191,620,928

INVESTMENT PORTFOLIO (unaudited)(concluded)
As of June 30, 2020	Highland Fixed Income Fund

(a)   Perpetual security with no stated maturity date.

(b)   The issuer is, or is in danger of being, in default of its payment obligation.

(c)   Securities (or a portion of securities) on loan. As of June 30, 2020, the market value of securities loaned was $2,072,141. The loaned securities were secured with cash and securities collateral of $2,123,313. Collateral is calculated based on prior day’s prices.

(d)   Securities exempt from registration under Rule 144A of the 1933 Act. These securities may only be resold in transaction exempt from registration to qualified institutional buyers. At June 30, 2020, these securities amounted to $5,328,895 or 2.8% of net assets.

(e)   Securities are grouped by coupon and represent a range of maturities.

(f)   Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(g)   Variable or floating rate security. The base lending rates are generally the lending rate offered by one or more European banks such as the LIBOR. The interest rate shown reflects the rate in effect June 30, 2020. Current LIBOR rates include 1 month which is equal to 0.162% and 3 months equal to 0.302%.

(h)   Securities with a total aggregate value of $252,183, or 0.1% of net assets, were classified as Level 3 within the three-tier fair value hierarchy. Please see Notes to Financial Statements for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.

(i) Represents fair value as determined by the Fund’s Board of Trustees (the “Board”), or its designee in good faith, pursuant to the policies and procedures approved by the Board. The Board considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a total aggregate value of $252,182, or 0.1% of net assets, were fair valued under the Fund’s valuation procedures as of June 30, 2020. Please see Notes to Financial Statements.

(j) Non-income producing security.

(k)   As described in the Fund’s prospectus, a company is considered to be a non-U.S. issuer if the company’s securities principally trade on a market outside of the United States, the company derives a majority of its revenues or profits outside of the United States, the company is not organized in the United States, or the company is significantly exposed to the economic fortunes and risks of regions outside the United States.

(l) Rate shown is 7 day effective yield.

(m) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of June 30, 2020 was $2,123,352.

(n)   Tri-Party Repurchase Agreement.

NOTES TO INVESTMENT PORTFOLIO (unaudited)

As of June 30, 2020 Highland Funds II

Organization

Highland Funds II (the “Trust”) is a Massachusetts business trust organized on August 10, 1992. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. It comprises five portfolios (each a “Fund” and collectively the “Funds”) that are currently being offered. This report covers information for the period ended June 30, 2020 for four of the Funds: Highland Socially Responsible Equity Fund (the “Socially Responsible Equity Fund”), Highland Small-Cap Equity Fund (the “Small-Cap Equity Fund”), Highland Total Return Fund (the “Total Return Fund”), and Highland Fixed Income Fund (the “Fixed Income Fund”). The Highland Global Allocation Fund is reported separately.

Valuation of Investments

In computing the Funds’ net assets attributable to shares, securities with readily available market quotations on the New York Stock Exchange (NYSE), National Association of Securities Dealers Automated Quotation (NASDAQ) or other nationally recognized exchange, use the closing quotations on the respective exchange for valuation of those securities. Securities for which there are no readily available market quotations will be valued pursuant to policies adopted by the Funds’ Board of Trustees (the “Board”). Typically, such securities will be valued at the mean between the most recently quoted bid and ask prices provided by the principal market makers. If there is more than one such principal market maker, the value shall be the average of such means. Securities without a sale price or quotations from principal market makers on the valuation day may be priced by an independent pricing service. Generally, the Funds’ loan and bond positions are not traded on exchanges and consequently are valued based on a mean of the bid and ask price from the third-party pricing services or broker-dealer sources that the Investment Adviser has determined to have the capability which provide appropriate pricing services and which have been approved by the Board.

Securities for which market quotations are not readily available, or for which the Funds have determined that the price received from a pricing service or broker-dealer is “stale” or otherwise does not represent fair value (such as when events materially affecting the value of securities occur between the time when market price is determined and calculation of the Funds’ NAV) will be valued by the Funds at fair value, as determined by the Board or its designee in good faith in accordance with procedures approved by the Board, taking into account factors reasonably determined to be relevant, including: (i) the fundamental analytical data relating to the investment; (ii) the nature and duration of restrictions on disposition of the securities; and (iii) an evaluation of the forces that influence the market in which these securities are purchased and sold. In these cases, the Funds’ NAV will reflect the affected portfolio securities’ fair value as determined in the judgment of the Board or its designee instead of being determined by the market. Using a fair value pricing methodology to value securities may result in a value that is different from a security’s most recent sale price and from the prices used by other investment companies to calculate their NAVs. Determination of fair value is uncertain because it involves subjective judgments and estimates.

There can be no assurance that the Funds’ valuation of a security will not differ from the amount that it realizes upon the sale of such security. Those differences could have a material impact to the Funds.

The NAV shown in the Funds’ financial statements may vary from the NAV published by each Fund as of its period end because portfolio securities transactions are accounted for on the trade date (rather than the day following the trade date) for financial statement purposes.

Fair Value Measurements

The Funds have performed an analysis of all existing investments and derivative instruments to determine the significance and character of inputs to their fair value determination. The levels of fair value inputs used to measure the Funds’ investments are characterized into a fair value hierarchy. Where inputs for an asset or liability fall into more than one level in the fair value hierarchy, the investment is classified in its entirety based on the

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

lowest level input that is significant to that investment’s valuation. The three levels of the fair value hierarchy are described below:

Level 1 —	Quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement;
Level 2 —	Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active, but are valued based on executed trades; broker quotations that constitute an executable price; and alternative pricing sources supported by observable inputs are classified within Level 2. Level 2 inputs are either directly or indirectly observable for the asset in connection with market data at the measurement date; and
Level 3 —	Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has obtained indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

The Investment Adviser has established policies and procedures, as described above and approved by the Board, to ensure that valuation methodologies for investments and financial instruments that are categorized within all levels of the fair value hierarchy are fair and consistent. A Pricing Committee has been established to provide oversight of the valuation policies, processes and procedures, and is comprised of personnel from the Investment Adviser and its affiliates. The Pricing Committee meets monthly to review the proposed valuations for investments and financial instruments and is responsible for evaluating the overall fairness and consistent application of established policies.

As of June 30, 2020, the Funds’ investments consisted of senior loans, asset-backed securities, bonds and notes, common stocks, master limited partnerships, registered investment companies, cash equivalents, commercial paper, preferred stocks, exchange-traded funds, rights, warrants, securities sold short, futures, equity swaps, collateralized loan obligations, and options. The fair value of the Funds’ loans, bonds and asset-backed securities are generally based on quotes received from brokers or independent pricing services. Loans, bonds and asset-backed securities with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets. Senior loans, bonds and asset-backed securities that are priced using quotes derived from implied values, indicative bids, or a limited number of actual trades are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable.

The fair value of the Funds’ common stocks, preferred stocks, exchange-traded funds, rights, warrants and options that are not actively traded on national exchanges are generally priced using quotes derived from implied values, indicative bids, or a limited amount of actual trades and are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable. Exchange-traded options are valued based on the last trade price on the primary exchange on which they trade. If an option does not trade, the mid-price, which is the mean of the bid and ask price, is utilized to value the option.

At the end of each calendar quarter, the Investment Adviser evaluates the Level 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, the Investment Adviser evaluates the Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund’s assets as of June 30, 2020 is as follows:

	Total value at June 30, 2020			Level 1 Quoted Price			Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Highland Socially Responsible Equity Fund
Assets
Common Stocks
Communication Services	$	8,245,430		$	8,245,430		$	—	$	—
Consumer Discretionary		5,045,280			5,045,280			—		—
Consumer Staples		2,164,190			2,164,190			—		—
Financials		3,700,970			3,700,970			—		—
Healthcare		6,924,093			6,924,093			—		—
Industrials		7,219,620			7,219,620			—		—
Information Technology		25,569,300			25,569,300			—		—
Materials		2,893,900			2,893,820			—		80
Real Estate(1)		517,080			517,080			—		—
Registered Investment Companies		5,648,224			5,648,224			—		—
Preferred Stock
Healthcare(1)		—			—			—		—
Cash Equivalents		3,098,013			3,098,013			—		—
Total Assets		71,026,100			71,026,020			—		80
Liabilities
Other Financial Instruments
Written Option		(24,210	)		(24,210	)		—		—
Total Liabilities		(24,210	)		(24,210	)		—		—
Total	$	71,001,890		$	71,001,810		$	—	$	80

⁽¹⁾  This Category includes securities with a value of zero.

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

	Total value at June 30, 2020			Level 1 Quoted Price			Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Highland Small-Cap Equity Fund
Assets
Common Stocks
Communication Services	$	281,977		$	281,977		$	—	$	—
Consumer Discretionary		965,294			965,294			—		—
Energy		336,852			336,852			—		—
Financials		4,974,504			4,974,504			—		—
Healthcare		4,813,369			4,813,369			—		—
Industrials		1,183,824			1,183,824			—		—
Information Technology		1,850,722			1,850,722			—		—
Materials		1,983,917			733,917			1,250,000		—
Real Estate(1)		2,229,350			2,229,350			—		—
Utilities		569,664			569,664			—		—
Preferred Stock
Real Estate		1,627,416			—			1,627,416		—
Registered Investment Companies		1,503,767			1,503,767			—		—
Master Limited Partnerships
Energy		796,440			796,440			—		—
Cash Equivalents		22,175			22,175			—		—
Repurchase Agreement		9			—			9		—
Total Assets		23,139,280			20,261,855			2,877,425		—
Liabilities
Securities Sold Short
Common Stocks
Information Technology		(8,412,096	)		(8,412,096	)		—		—
Total Liabilities		(8,412,096	)		(8,412,096	)		—		—
Total	$	14,727,184		$	11,849,759		$	2,877,425	$	—

⁽¹⁾  This Category includes securities with a value of zero.

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

	Total value at June 30, 2020		Level 1 Quoted Price		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Highland Total Return Fund
Assets
Common Stocks
Communication Services	$	13,086,756	$	13,086,756	$	—	$	—
Consumer Discretionary		3,277,960		3,277,960		—		—
Consumer Staples		1,489,870		1,489,870		—		—
Energy		2,545,273		2,545,273		—		—
Financials		5,678,173		5,678,173		—		—
Healthcare		894,365		894,365		—		—
Industrials		6,160,453		6,160,453		—		—
Materials		1,429,326		1,429,326		—		—
Real Estate		14,066		—		—		14,066
Foreign Common Stock
France		9,321,790		9,321,790		—		—
Italy		1,514,821		1,514,821		—		—
Japan		296,913		296,913		—		—
Mexico		263,461		263,461		—		—
Corporate Bonds & Notes
Communication Services		63,079		—		63,079		—
Consumer Discretionary		1,088,809		—		1,088,809		—
Consumer Staples		649,647		—		649,647		—
Energy		329,757		—		329,757		—
Financials		1,260,379		—		1,260,379		—
Healthcare		1,057,816		—		1,057,816		—
Industrials		531,497		—		531,497		—
Information Technology		45,252		—		45,252		—
Materials		572,874		—		572,874		—
Utilities		198,004		—		198,004		—
Registered Investment Companies		5,262,566		5,262,566		—		—
Preferred Stock
Energy		189,218		189,218		—		—
Financials		2,857,882		2,729,632		128,250		—
Real Estate		70,760		47,738		23,022		—
Utilities		339,894		339,894		—		—
Foreign Corporate Bonds & Notes		2,363,550		—		2,363,550		—
Agency Mortgage-Backed Securities		1,195,702		—		1,195,702		—
U.S. Treasury Obligation		999,890		—		999,890		—
Master Limited Partnerships
Energy		236,210		236,210		—		—
Non-Agency Collateralized Mortgage-Backed Securities		102,617		—		102,617		—
Agency Collateralized Mortgage Obligations		11,091		—		11,091		—
Asset-Backed Securities		1		—		1		—
Cash Equivalents		2,062,989		2,062,989		—		—
Repurchase Agreement		33,807		—		33,807		—
Total Assets		67,496,518		56,827,408		10,655,044		14,066
Total	$	67,496,518	$	56,827,408	$	10,655,044	$	14,066

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

	Total value at June 30, 2020		Level 1 Quoted Price		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Highland Fixed Income Fund
Assets
Corporate Bonds & Notes	$	69,443,000	$	—	$	69,443,000	$	—
Agency Mortgage-Backed Securities		54,542,273		—		54,542,273		—
Preferred Stock
Communication Services		6,716,377		6,716,377		—		—
Energy		2,900,177		2,900,177		—		—
Financials		3,207,731		2,479,106		728,625		—
Real Estate		1,342,405		1,335,336		7,069		—
Utilities		1,601,198		1,140,839		460,359		—
U.S. Treasury Obligations		13,656,988		619,443		13,037,545		—
U.S. Government Agency - Asset-Backed Securities		10,719,907		—		10,719,907		—
Registered Investment Companies		7,013,944		7,013,944		—		—
Municipal Bonds
California		1,150,278		—		1,150,278		—
Kentucky		764,595		—		764,595		—
Maryland		523,735		—		523,735		—
Michigan		1,414,760		—		1,414,760		—
New York		1,181,643		—		1,181,643		—
North Dakota		950,603		—		950,603		—
Washington		778,253		—		778,253		—
Asset-Backed Securities		4,376,847		—		4,376,847		—
Common Stocks
Financials		190,853		190,853		—		—
Real Estate		1,859,241		1,607,058		—		252,183
Non-Agency Collateralized Mortgage-Backed Securities		1,638,209		—		1,638,209		—
Agency Collateralized Mortgage Obligations		1,380,467		—		1,380,467		—
Exchange-Traded Fund		1,091,475		1,091,475		—		—
Foreign Corporate Bonds & Notes		787,237		—		787,237		—
Cash Equivalents		693,929		693,929		—		—
Repurchase Agreements		2,123,352		—		2,123,352		—
Total Assets		192,049,477		25,788,537		166,008,757		252,183
Total	$	192,049,477	$	25,788,537	$	166,008,757	$	252,183

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

The tables below set forth a summary of changes in the Socially Responsible Equity Fund, the Total Return Fund and the Fixed Income Fund assets measured at fair value using significant unobservable inputs (Level 3) for the period ended June 30, 2020.

	Balance as of September 30, 2019		Transfers into Level 3		Transfers Out of Level 3		Net Amortization (Accretion) of Premium/ (Discount)		Net Realized Gains/ (Losses)		Net Unrealized Gains/ (Losses)			Net Purchase		Net (Sales)		Balance as of June 30, 2020		Change in Unrealized Appreciation (Depreciation) from Investments held at June 30, 2020
Highland Socially Responsible Equity Fund
Common Stocks
Materials	$	97,560	$	—	$	—	$	—	$	—	$	(97,480	)	$	—	$	—	$	80	$	(97,480	)
Preferred Stocks
Healthcare		252,174		—		—		—		—		(252,174	)		—		—		—		(252,174	)
Total	$	349,734	$	—	$	—	$	—	$	—	$	(349,654	)	$	—	$	—	$	80	$	(349,654	)

	Balance as of September 30, 2019		Transfers into Level 3		Transfers Out of Level 3		Net Amortization (Accretion) of Premium/ (Discount)		Net Realized Gains/ (Losses)		Net Unrealized Appreciation (Depreciation)		Net Purchase		Net (Sales)		Balance as of June 30, 2020		Change in Unrealized Appreciation (Depreciation) from Investments held at June 30, 2020
Highland Total Return Fund
Common Stocks
Real Estate	$	13,846	$	—	$	—	$	—	$	—	$	220	$	—	$	—	$	14,066	$	220
Total	$	13,846	$	—	$	—	$	—	$	—	$	220	$	—	$	—	$	14,066	$	220

	Balance as of September 30, 2019		Transfers into Level 3		Transfers Out of Level 3		Net Amortization (Accretion) of Premium/ (Discount)		Net Realized Gains/ (Losses)		Net Unrealized Appreciation (Depreciation)		Net Purchase		Net (Sales)		Balance as of June 30, 2020		Change in Unrealized Appreciation (Depreciation) from Investments held at June 30, 2020
Highland Fixed Income Fund
Common Stocks
Real Estate	$	248,235	$	—	$	—	$	—	$	—	$	3,948	$	—	$	—	$	252,183	$	3,948
Total	$	248,235	$	—	$	—	$	—	$	—	$	3,948	$	—	$	—	$	252,183	$	3,948

Investments designated as Level 3 may include assets valued using quotes or indications furnished by brokers which are based on models or estimates and may not be executable prices. In light of the developing market conditions, the Investment Adviser continues to search for observable data points and evaluate broker quotes and indications received for portfolio investments.

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Highland Socially Responsible Equity Fund

Category	Market Value at 06/30/2020		Valuation Technique	Unobservable Inputs	Input Value(s)
Preferred Stock	$	–	Transaction Indication of Value	Enterprise Value ($mm)		0%
Common Stock		80	Discounted Cash Flow	Discount Rate		20%
			Multiple Analysis	Multiple of EBITDA		6.25x - 7.00x
			Transaction Analysis	Multiple of EBITDA		6.25x - 6.75x
			Black-Scholes Model	Volatility Assumption		50% - 60%
Total	$	80

Highland Total Return Fund

Category	Market Value at 06/30/2020		Valuation Technique	Unobservable Inputs	Input Value(s)
REIT	$	14,066	Market Approach	Market Index Adjustment		34.3%
			NAV	Third Party Value Indication		$9.97
Total	$	14,066

Highland Fixed Income Fund

Category	Market Value at 06/30/2020		Valuation Technique	Unobservable Inputs	Input Value(s)
REIT	$	252,183	Market Approach	Market Index Adjustment		34.3%
			NAV	Third Party Value Indication		$9.97
Total	$	252,183

The significant unobservable inputs used in the fair value measurement of the Highland Socially Responsible Fund’s common equity securities are: multiple of EBITDA, volatility assumption and discount rate. Significant increases (decreases) in any of those inputs in isolation could result in a significantly lower (higher) fair value measurement.

The significant unobservable inputs used in the fair value measurement of the Highland Total Return Fund’s REIT assets are the third party value indication and the market index adjustment. Significant increases (decreases) in any of those inputs in isolation could result in a significantly higher (lower) fair value measurement.

The significant unobservable inputs used in the fair value measurement of the Highland Fixed Income Fund’s REIT assets are the third party value indication and the market index adjustment. Significant increases (decreases) in any of those inputs in isolation could result in a significantly higher (lower) fair value measurement.

In addition to the unobservable inputs utilized for various valuation methodologies, the Highland Socially Responsible Fund frequently uses a combination of two or more valuation methodologies to determine fair value for a single holding. In such instances, the Highland Socially Responsible Fund assesses the methodologies and ascribes weightings to each methodology. The weightings ascribed to any individual methodology ranged from as low as 5% to as high as 75% as of June 30, 2020. The selection of weightings is an inherently subjective process, dependent on professional judgement. These selections may have a material impact to the concluded fair value for such holdings.

In addition to the unobservable inputs utilized for various valuation methodologies, the Highland Total Return Fund frequently uses a combination of two or more valuation methodologies to determine fair value for a single holding. In such instances, the Highland Total Return Fund assesses the methodologies and ascribes weightings to each methodology. The weightings ascribed to any individual methodology ranged from as low as 50% to as high as 50% as of June 30, 2020. The selection of weightings is an inherently subjective process, dependent on professional judgement. These selections may have a material impact to the concluded fair value for such holdings.

In addition to the unobservable inputs utilized for various valuation methodologies, the Highland Fixed Income Fund frequently uses a combination of two or more valuation methodologies to determine fair value for a single holding. In such instances, the Highland Fixed Income Fund assesses the methodologies and ascribes weightings to each methodology. The weightings ascribed to any individual methodology ranged from as low as 50% to as high as 50% as of June 30, 2020. The selection of weightings is an inherently subjective process, dependent on professional judgement. These selections may have a material impact to the concluded fair value for such holdings.

Security Transactions

Security transactions are accounted for on the trade date. Realized gains/(losses) on investments sold are recorded on the basis of the specific identification method for both financial statement and U.S. federal income tax purposes taking into account any foreign taxes withheld.

Cash & Cash Equivalents

The Funds consider liquid assets deposited with a bank and certain short-term debt instruments of sufficient credit quality with original maturities of three months or less to be cash equivalents. The Fund also considers money market instruments that invest in cash equivalents to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. The value of cash equivalents denominated in foreign currencies is determined by converting to U.S. dollars on the date of the Statement of Assets and Liabilities.

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

Securities Sold Short

The Funds may sell securities short. A security sold short is a transaction in which the Fund sells a security it does not own in anticipation that the market price of that security will decline. When the Fund sells a security short, it must borrow the security sold short from a broker-dealer and deliver it to the buyer upon conclusion of the transaction. A Fund may have to pay a fee to borrow particular securities and is obligated to pay over any dividends or other payments received on such borrowed securities. In some circumstances, a Fund may be allowed by its prime broker to utilize proceeds from securities sold short to purchase additional investments, resulting in leverage. Securities and cash held as collateral for securities sold short are shown on the Investments Portfolios for each of the Funds.

Derivative Transactions

The Funds are subject to equity securities risk, interest rate risk and currency risk in the normal course of pursuing their investment objectives. The Funds enter into derivative transactions for the purpose of hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, to gain market exposure for residual and accumulating cash positions and for managing the duration of fixed income investments.

Futures Contracts

A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Funds may invest in interest rate, financial and stock or bond index futures contracts subject to certain limitations. The Funds invest in futures contracts to manage their exposure to the stock and bond markets and fluctuations in currency values. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or economically hedge other Fund investments. With futures contracts, there is minimal counterparty credit risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margins, are made or can be received by the Funds each day, depending on the daily fluctuation in the fair value of the underlying security. The Funds record an unrealized gain/(loss) equal to the daily variation margin. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Funds recognize a realized gain/(loss) on the expiration or closing of a futures contract.

For the period ended June 30, 2020, the Funds did not invest in futures contracts.

Options

The Funds may utilize options on securities or indices to varying degrees as part of their principal investment strategy. An option on a security is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the security underlying the option at a specified exercise or “strike” price. The writer of an option on a security has the obligation upon

NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of June 30, 2020	Highland Funds II

exercise of the option to deliver the underlying security upon payment of the exercise price or to pay the exercise price upon delivery of the underlying security. The Funds may hold options, write option contracts, or both.

If an option written by a Fund expires unexercised, a Fund realizes on the expiration date a capital gain equal to the premium received by a Fund at the time the option was written. If an option purchased by a Fund expires unexercised, a Fund realizes a capital loss equal to the premium paid. Prior to the earlier of exercise or expiration, an exchange-traded option may be closed out by an offsetting purchase or sale of an option of the same series (type, underlying security, exercise price and expiration). There can be no assurance, however, that a closing purchase or sale transaction can be effected when a Fund desires. A Fund will realize a capital gain from a closing purchase transaction if the cost of the closing option is less than the premium received from writing the option, or, if the cost of the closing option is more than the premium received from writing the option, a capital loss. A Fund will realize a capital gain from a closing sale transaction if the premium received from the sale is more than the original premium paid when the option position was opened, or a capital loss, if the premium received from a sale is less than the original premium paid.

Affiliated Issuers

Under Section 2(a)(3) of the Investment Company Act of 1940, as amended, a portfolio company is defined as “affiliated” if a fund owns five percent or more of its outstanding voting securities or if the portfolio company is under common control. The table below shows affiliated issuers of each Fund as of June 30, 2020:

Highland Socially Responsible Equity Fund

Issuer	Shares at September 30, 2019		Beginning Value as of September 30, 2019 $		Purchases at Cost $		Proceeds from Sales $			Net Realized Gain/(Loss) on Sales of Affiliated Issuers $		Change in Unrealized Appreciation/ (Depreciation) $			Ending Value as of June 30, 2020 $		Shares at June 30, 2020		Affiliated Income $		Cap Gain Distributions $
Other Affiliates
Socially Responsible Equity Sub, LLC (Common Stock)		—		—		1,000,000		(964,978	)		—		(35,022	)		—		100,000		—		—
Highland Merger Arbitrage Fund (Registered Investment Company)		220,978		4,238,354		14,051		—			—		199,358			4,451,763		221,701		14,052		—
NexPoint Strategic Opportunities (Registered Investment Company)		113,630		2,037,386		1,025		(209,321	)		—		(632,629	)		1,196,461		113,732		—		—
Total		334,608		6,275,740		1,015,076		(1,174,299	)		—		(468,293	)		5,648,224		435,433		14,052		—

Highland Small -Cap Equity Fund

Issuer	Shares at September 30, 2019		Beginning Value as of September 30, 2019 $		Purchases at Cost $		Proceeds from Sales $			Net Realized Gain/(Loss) on Sales of Affiliated Issuers $		Change in Unrealized Appreciation/ (Depreciation) $			Ending Value as of June 30, 2020 $		Shares at June 30, 2020		Affiliated Income $		Cap Gain Distributions $
Other Affiliates
NexPoint Residential Trust, Inc., REIT		58,192		2,721,058		60,591		(1,134,818	)		345,583		(1,032,909	)		959,505		27,143		11,699		—
Small-Cap Equity Sub, LLC REIT		—		—		1,000,000		(966,479	)		—		(33,521	)		—		100,000		—		—
Highland Global Allocation Fund (Registered Investment Company)		39,647		406,382		—		(21,456	)		—		(129,599	)		255,327		39,647		11,134		—
NexPoint Strategic Opportunities (Registered Investment Company)		118,673		2,127,807		—		(215,357	)		—		(664,010	)		1,248,440		118,673		—		—
Total		216,512		5,255,247		1,060,591		(2,338,110	)		345,583		(1,860,039	)		2,463,272		285,463		22,833		—